{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "<img src=\"http://hilpisch.com/tpq_logo.png\" alt=\"The Python Quants\" width=\"35%\" align=\"right\" border=\"0\"><br>"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Python for Finance (2nd ed.)\n",
    "\n",
    "**Mastering Data-Driven Finance**\n",
    "\n",
    "&copy; Dr. Yves J. Hilpisch | The Python Quants GmbH\n",
    "\n",
    "<img src=\"http://hilpisch.com/images/py4fi_2nd_shadow.png\" width=\"300px\" align=\"left\">"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Appendix: BSM Option Class"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "from bsm_option_class import *"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "uuid": "6fbac054-7632-4b1a-905a-1e7617ab1353"
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "bsm_option_class.bsm_call_option"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "o = bsm_call_option(100., 105., 1.0, 0.05, 0.2)\n",
    "type(o)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "uuid": "29db884c-ae9d-44fc-ac14-ac7f42842d58"
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "8.021352235143176"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "value = o.value()\n",
    "value"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "uuid": "ad80b6ae-ba85-4e77-bc51-d539888e3ad1"
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "39.67052380842653"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "o.vega()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {
    "uuid": "498adc88-13d0-4440-adbd-d4214e9529dc"
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.2"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "o.imp_vol(C0=value)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {
    "uuid": "a3bd9b68-82cc-45e5-8c29-407a98ad1aec"
   },
   "outputs": [],
   "source": [
    "import numpy as np\n",
    "maturities = np.linspace(0.05, 2.0, 20)\n",
    "strikes = np.linspace(80, 120, 20)\n",
    "T, K = np.meshgrid(strikes, maturities)\n",
    "C = np.zeros_like(K)\n",
    "V = np.zeros_like(C)\n",
    "for t in enumerate(maturities):\n",
    "    for k in enumerate(strikes):\n",
    "        o.T = t[1]\n",
    "        o.K = k[1]\n",
    "        C[t[0], k[0]] = o.value()\n",
    "        V[t[0], k[0]] = o.vega()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {
    "uuid": "4beed5a6-ed44-4fd3-aaf0-6bc4be2b1c83"
   },
   "outputs": [],
   "source": [
    "from pylab import cm, mpl, plt\n",
    "from mpl_toolkits.mplot3d import Axes3D\n",
    "mpl.rcParams['font.family'] = 'serif'\n",
    "%config InlineBackend.figure_format = 'svg'"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {
    "uuid": "aae2d996-fa8e-469d-8ffa-f0a5684160a7"
   },
   "outputs": [
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   "source": [
    "fig, ax = plt.subplots(subplot_kw={\"projection\": \"3d\"}, figsize=(12, 7))\n",
    "surf = ax.plot_surface(T, K, C, rstride=1, cstride=1,\n",
    "            cmap=cm.coolwarm, linewidth=0.5, antialiased=True)\n",
    "ax.set_xlabel('strike')\n",
    "ax.set_ylabel('maturity')\n",
    "ax.set_zlabel('European call option value')\n",
    "fig.colorbar(surf, shrink=0.5, aspect=5);\n",
    "# plt.savefig('../../images/b_bsm/bsm_01.png');"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {
    "uuid": "a0fc3738-180b-4be7-9c31-460b3d015194"
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       "<Figure size 864x504 with 2 Axes>"
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     },
     "metadata": {
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   ],
   "source": [
    "fig, ax = plt.subplots(subplot_kw={\"projection\": \"3d\"}, figsize=(12, 7))\n",
    "surf = ax.plot_surface(T, K, V, rstride=1, cstride=1,\n",
    "            cmap=cm.coolwarm, linewidth=0.5, antialiased=True)\n",
    "ax.set_xlabel('strike')\n",
    "ax.set_ylabel('maturity')\n",
    "ax.set_zlabel('Vega of European call option')\n",
    "fig.colorbar(surf, shrink=0.5, aspect=5);\n",
    "# plt.savefig('../../images/b_bsm/bsm_02.png');"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "<img src=\"http://hilpisch.com/tpq_logo.png\" alt=\"The Python Quants\" width=\"35%\" align=\"right\" border=\"0\"><br>\n",
    "\n",
    "<a href=\"http://tpq.io\" target=\"_blank\">http://tpq.io</a> | <a href=\"http://twitter.com/dyjh\" target=\"_blank\">@dyjh</a> | <a href=\"mailto:training@tpq.io\">training@tpq.io</a>"
   ]
  }
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